Exponentially tilted likelihood inference on growing dimensional unconditional moment models

DOI10.1016/j.jeconom.2017.08.018zbMath1378.62013arXiv1612.08246OpenAlexW2566462634MaRDI QIDQ1680189

Xiaodong Yan, Pu-Ying Zhao, Nian Sheng Tang

Publication date: 23 November 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1612.08246

zbMATH Keywords

parameter estimationvariable selectionmodel misspecificationgrowing-dimensional data analysismoment unconditional modelspenalized exponentially tilted likelihood

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Applications of statistics to social sciences (62P25) Point estimation (62F10)

Related Items (4)

Statistical inference for nonignorable missing-data problems: a selective review ⋮ Exponential tilted likelihood for stationary time series models ⋮ Feature screening in ultrahigh-dimensional partially linear models with missing responses at random ⋮ Testing with exponentially tilted empirical likelihood

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